Nkunku signed permanently with Milan last summer from Chelsea, but was being linked with a move to Turkey during last month's winter market.
But the France striker told La Gazzetta dello Sport: "I never thought about leaving, that's the point.
"My agent never told me about any offers, so for me they were just rumours . And he knows me well: I didn't ask him to look elsewhere or to 'open up' ' to other clubs, because I just wanted to be ready to perform here at Milan."
It took Nkunku four months to score his first Milan goal and he also said: "I tried to stay calm because I know my quality and I knew the goals would come.
"It was just a matter of time and fitness. If you play up front, you have to score because that's your job. I still think I helped the team in other ways, but if you provide an assist or a goal... it's more evident."